Or if you really want to get fancy you can set your browser to use proxy autoconfiguration to some local file that you can generate/edit from a script. Proxy autoconfiguration allows you
to define a policy for whether to use a proxy or not
for specific requests, so for instance you can have a
browser use a proxy for everything except http://www.perlmonks.org.

"use a proxy for everything except http://www.perlmonks.org" - Yes, but you could do this with the normal Proxy/No Proxy for settings, too. But you can do something with proxy autoconf. which can't do with the normal settings: You can have a single proxy configuration file which is the same for all hosts in your network, but can tell them to use different proxies, according to their IP adresses.